# Distributions

## Motivation

Sometimes people mistake distributions for functions. This is due to the fact, that the notation sucks and often people use the same symbols for both. In this post I want to clarify the intuition behind distributions.

Take as an example the expected value of a random variable \(X\) in \(\mathbb{R}\) with probability density function \(p_X\). Then the expected value is \(E(X)=\int_\mathbb{R} x p_X(x) dx\). But does any random variable admit a probability density function \(p_X\)? Of course not. Take as a counterexample the random variable \(Y\) with absolutely no randomness which is always \(0\). Can we write this as \(0=E(Y)=\int_\mathbb{R} x p_Y(x) dx\) for some function \(p_Y\), which is not zero everywhere?

## Distributions

It turns out that we can kind of do this. There is the so-called dirac distribution (often wrongly called dirac function) \(\delta\) which is a gadget which is zero everywhere, except at \(1\) where its value is infinity. Further, integrating yields \(\int_\mathbb{R} \delta(x) dx=1\). This \(\delta\) would have the properties we require of \(p_Y\) from above.

But why should \(\delta\) exist at all? The trick is, that it is not a function but a special type of generalized function. These generalized functions are called distributions.

Let me introduce some more notation. Let \(D(\mathbb{R})\) be the set of infinitely differentiable (smooth) functions \(\phi:\mathbb{R}\rightarrow\mathbb{R}\) which are zero outside some bounded interval (have compact support). We call those functions test functions. We now define a distribution \(T:D(\mathbb{R})\rightarrow\mathbb{R}\) to be a linear mapping from the space of test functions \(D(\mathbb{R})\) to \(\mathbb{R}\). Usually one writes \(\langle T, \phi\rangle\) instead of \(T(\phi)\).

As you may have guessed every function \(f\) induces a distribution \(T_f\). This should be intuitive, since I have written above that a distribution is a generalized function, so a usual function should of course also be a distribution. In particular we define \(T_f\) by its action on the test functions \(\phi\) through \(\langle T_f, \phi\rangle=\int_\mathbb{R} f(x) \phi(x)dx\).

The Dirac distribution \(\delta\) on the other hand is not induced by a function. It is defined by \(\langle \delta, \phi\rangle=\phi(0)\). I.e., it maps a function to its value at zero. We wrote above \(0=E(Y)=\int_\mathbb{R} x p_Y(x) dx\), even though we did not yet know that \(p_Y(x)\) in this case is the dirac distribution and not a function. In the literature stuff like this is often written as \(0=\int_\mathbb{R} x \delta(x) dx\) to mean \(\langle\delta, x\rangle=0\). There is similar weird notation floating around, like \(\int_\mathbb{R} \delta(x) dx=1\), which is very misleading. This is not an integral of a function, since \(\delta\) is not a function. Donâ€™t get confused. The last equation can be translated as \(\int_\mathbb{R} \delta(x) dx=\langle \phi, 1\rangle\). And then it makes sense again, at least from a notational point.

And that is already everything you need to know to understand distributions. One can take a more sophisticated space of test functions to arrive at more sophisticated distributions. One can define derivatives of distributions, such that it feels natural. One can add and multiply distributions. But the underlying intuition stays the same as above, namely to generalize functions as inducing a linear mapping from a space of test functions to \(\mathbb{R}\).